Three Lectures on: "AFFINE AND POLYNOMIAL PROCESSES" (JOSEF TEICHMANN, ETH Zurich; CHRISTA CUCHIERO, University of Vienna)
____________________________________________________
Lecture 1 (JOSEF TEICHMANN) "Motivating examples: classical and recent ones".
Several examples from Mathematical Finance and other areas of applications are considered (Pricing and Hedging; Credit Risk; representation of non-linear PDEs; rough volatility)
JUNE 21TH, 9-11 A.M. AULA MANCINI, Scuola Normale Superiore
________________________________________________________________________________
Lecture 2 (JOSEF TEICHMANN AND CHRISTA CUCHIERO) "General theory of affine and polynomial processes".
Foundational issues are discussed in detail and admissibility conditions proved in the canonical state space setting.
JUNE 23TH, 9-11 A.M. AULA MANCINI, Scuola Normale Superiore
____________________________________________________________
Lecture 3 (CHRISTA CUCHIERO) "General theory of affine and polynomial processes".
Affine and polynomial processes one general state spaces are considered towards finite or infinite dimensional processes classes.
JUNE 27TH, 9-11 A.M. AULA MANCINI, Scuola Normale Superiore
______________________________________________________________
Tutti gli interessati sono invitati a partecipare.